Bibtex references

 

@ARTICLE{Packham2010,

  author = {Packham, N. and Schmidt, W. M.},

  title = {Latin hypercube sampling with dependence and applications in finance},

  journal = {Journal of Computational Finance},

  year = {2010},

  volume = {13},

  pages = {81--111},

  number = {3}

}



@ARTICLE{Packham2013,

  author = {Packham, N. and Schloegl, L. and Schmidt, W.M.},

  title = {Credit gap risk in a first passage time model with jumps},

  journal = {Quantitative Finance},

  year = {2013},

  volume = {13},

  pages = {1871--1889},

  number = {12},

}


@ARTICLE{Kalkbrener2013,

  author = {Kalkbrener, M. and Packham, N.},

  title = {Correlation under stress in normal variance mixture models},

  journal = {Mathematical Finance},

  year = {2014+},

  volume = {forthcoming}

}


@ARTICLE{Bannier2013,

  author = {Bannier, C. and E. Feess and N. Packham},

  title = {Competition, Bonuses, and Risk-taking in the Banking Industry},

  journal = {Review of Finance},

  year = {2013},

  volume = {17},

  pages = {653--690}

}


@ARTICLE{Mayer2014,

  author = {Philipp A. Mayer and Natalie Packham and Wolfgang M. Schmidt},

  title = {Static hedging under maturity mismatch},

  journal = {Finance and Stochastics},

  year = {2014+},

  note = {forthcoming}

}


@INPROCEEDINGS{Detering2014a,

  author = {Nils Detering and Natalie Packham},

  title = {Model risk in incomplete markets with jumps},

  booktitle = {Innovations in Risk Management},

  year = {2015},

  editor = {Kathrin Glau and Matthias Scherer and Rudi Zagst},

  volume = {99},

  pages = {39--56},

  series = {Springer Proceedings in Mathematics \& Statistics},

}


@ARTICLE{Kalkbrener2015,

  author = {Michael Kalkbrener and Natalie Packham},

  title = {Stress testing of credit portfolios in light- and heavy-tailed models},

  journal = {Journal of Risk Management and Financial Institutions},

  year = {2015},

  volume = {8},

  number = {1}

}


@ARTICLE{Packham2016,

  author = {Packham, N. and Kalkbrener, M. and Overbeck, L.},

  title = {Asymptotic behaviour of multivariate default probabilities and default

correlations under stress},

  journal = {Journal of Applied Probability},

  year = {2016},

  volume = {53},

  number = {1},

  month = {March}

}